We also have a 3yo boy and 9 yo girl. My son was a little shy going to the club for the first time, but then loved it and never wanted to leave. The first time we took him we stayed for a little bit and then told him we would come back in just 10 minutes. I just read a book outside the door. I checked back and he wanted to stay, but told me to come back in 10 min. We did this about 4 times that first time. I think it made him feel secure that I would come back in just a few minutes and that he could always ask for me. After that we would leave him and he never wanted to leave when we went to pick him up. We would read the navigator each day and he would pick a few things that he wanted to do. He probably spent 2-3 hours a day. He had a great time. The characters come and visit them often. They do a lot of crafts and projects. He loved the sleepover night (watch movies in their pjs).
Hope your son loves it!